In *nix, vim syntax files are in ~/.vim/syntax/[language].vim
But on windows dot is not a welcome folder name start, so it suppose to be _vim\syntax\[language].vim
I have tried putting language files in such folder, but :set syntax=[language] does nothing on windows vista :(. Surprisingly, _vimrc works fine. Any tips?

However having just tried to create a folder called ".afolder" in Explorer, you're quite correct! That seems rather silly design by MS. Nevertheless, this is just an Explorer limitation and names starting with a dot are perfectly legal.